I have a vector of monthly log asset price returns. I would like use the boot package to sample one-year returns, and then calculate confidence intervals on the loss distribution only. More concretely, I would like to say something like "99% of LOSSES (not RETURNS) are above cutoff X."
If the variable "x" contains my returns and I was interested in confidence intervals for the entire distribution of returns, I might do something like this: results <- boot(x, statistic=function(d, indx) sum(d[indx[1:12]]), R=100000) boot.ci(results, conf=.98) In this case I establish a cutoff for the bottom 1% of the return distribution, but this is not the same thing as the bottom 1% for the losses only. It seems one thing to do would be to just extract the sample returns from the results object, filter them, and then calculate confidence intervals manually. However, I was curious if there was a simple way to subset the results object so that it could be fed directly into boot.ci() Thanks. Abiel This communication is for informational purposes only. It is not intended as an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. All market prices, data and other information are not warranted as to completeness or accuracy and are subject to change without notice. Any comments or statements made herein do not necessarily reflect those of JPMorgan Chase & Co., its subsidiaries and affiliates. This transmission may contain information that is privileged, confidential, legally privileged, and/or exempt from disclosure under applicable law. If you are not the intended recipient, you are hereby notified that any disclosure, copying, distribution, or use of the information contained herein (including any reliance thereon) is STRICTLY PROHIBITED. Although this transmission and any attachments are believed to be free of any virus or other defect that might affect any computer system into which it is received and opened, it is the responsibility of the recipient to ensure that it is virus free and no responsibility is accepted by JPMorgan Chase & Co., its subsidiaries and affiliates, as applicable, for any loss or damage arising in any way from its use. If you received this transmission in error, please immediately contact the sender and destroy the material in its entirety, whether in electronic or hard copy format. Thank you. Please refer to http://www.jpmorgan.com/pages/disclosures for disclosures relating to European legal entities. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
